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KateMoloneyParticipant
Thanks Glen, yes it is SSD.
I don’t care so much for ram etc … just as long as the thing stays alive.
I figured since my laptop is constantly working hard using lots of ram/memory it might be wise to upgrade to 64GB of ram.
Dell seem to have a few good options …
KateMoloneyParticipantMy computer had a meltdown and corrupted some of my excel files. I’ve redone the performance tables 3x and lost them each time to a computer tantrum, so updates below are from memory.
I have backup computer to run trade AB explorations, and thankfully all files are backed up.
Overall account -4.87% (this is accurate)
ASX Momo & US TLT took the biggest hit, approx -9% (do I blame someone for this? … asking for a friend )
Swing strategies – down approx 1.5%
[list]
[*]Had an issue exiting a TSX stock that cost me double the loss it should have, currently looking into this.
[*]This week ASX swing missed a 4% profit trade. I think it was due to it being the low of the week, but am monitoring it as some trades are only getting partial fills, which is costing profit….
[/list]MOC strategies down approx -4%
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[*]The majority of the drawdown was due to 2x trades that dropped circa 20% over night, a bit frustrating as the DD was 1.5% prior, but such is trading
[*]I also took a trade that went up 16% over night
[/list]This month I have set myself three challenges
1) Buy a computer that stays alive – thinking of a Dell laptop with 64GB of ram
2) Play around with real test for 2-3 hours a week & finish the you tube tutorials
3) Stick to my new trading routine 100% – rules are no news/twitter/market news before 7am. I work out at the gym before I check over night trades. Aiming to reduce external noise so I can focus on my own game.happy trading everyone.
KateMoloneyParticipantOK Glen, stop talking … don’t jinx it!
KateMoloneyParticipantThanks Glen,
Perfect thing to take my mind off the market
KateMoloneyParticipantHey Glen,
Been researching this myself. Thanks for sharing.
What formular did you use? I did some online research and found a few different ideas.
How is it calculated? RoC is calculated in three steps. First, the EMA is calculated. Then the momentum of the change in the EMA is calculated by subtracting the previous value of the EMA from the current EMA. Finally, the result is divided by the previous value of the EMA and multiplied by 100 to give a percentage. As the S-RoC is a RoC of EMA, it takes two periods: the period of the EMA, with the default being 13; and the period of the RoC, with the default being 21.
The formula is:
S-RoC = ( Current EMA – Previous EMA ) / ( Previous EMA ) x 100
where the previous EMA is the value that the EMA was at specified period ago. The result is a percentage that is plotted as an oscillator that oscillates between 100% and -100%.
Here is my first crack at it (AB code … sorry!)//Smoothed Rate of Change, EMA of the ROC
EMAperiod = Param(“EMA period”,100,1,300,1);
EMAclose = EMA(Close,EMAperiod);ROCs = Param(“ROC Period”,100,1,300,1);
ROCsmooth = ROC(EMAclose,ROCs);Plot(ROCsmooth,”ROCS”,colorAqua,styleLine);’
I have a feeling I didn’t get it right ….. as in its meant to be along the lines of
S-RoC = ( Current EMA – Previous EMA ) / ( Previous EMA ) x 100
Which might look like
/// Second indicator ROCs attempt
EMAp = Param(“EMA period 2”,100,1,300,1);
EMANow = EMA(C,EMAp);
EMA1weekago = Ref(EMAnow,-7);Calc = (EMA(C,EMAp) – EMA1weekago) / EMA1weekago * 100;
KateMoloneyParticipantI had that issue about 6 months ago.
Tried to trouble shoot it, no luck.
Uninstalling AB and reinstalling it fixed it for me.
KateMoloneyParticipantInteresting thread.
Just curious. How did you go getting your AB and RT results to match ?
I’m working on the Swing system atm. The difference between RT and AB is about 10% CAGR atm.
Edit: the australian version seems to match reasonably OK, the canada one is out by about 10% CAGR
KateMoloneyParticipantInteresting change in results Glen.
Silly thought, but I wonder if that is because that index excludes heavy weights like BHP?
I recall Nick talking about it on Twitter and how the index was higher last year because BHP was up and was such a large % of the index.
KateMoloneyParticipantThanks for sharing Trent.
I’ve referred to a number of your codes that you’ve posted on this forum.
KateMoloneyParticipantHi Steve,
Silly question, what do you mean by market internals for a regime filter?
If you want to turn dividends off/on go to file, database settings, configure,
KateMoloneyParticipantASX
ASX Momo +8.58% (after trades this morning, was around 5% prior)
ASX Swing +3.70%US
US TLT 0.88%
US Momo CASH
MOC did not trade (away)Canada
TSX Swing 4.15%
KateMoloneyParticipantThat is quite a high stretch Julian.
Does your system have no regime filter?
KateMoloneyParticipantCanada Update:
After a few months trial on a small account, my weekly swing Canadian system is now running at full capital allocation.
I will be watching closely over the next 6 months to see how slippage and forex impact the systems bottom line.Brokerage is fairly high for lower priced stocks, but eliminating lower priced stocks from the system reduced the CAGR too much. So again, will monitor this closely.
I’ve had to apply a bit of logic to my thought process because I don’t think some things can be tested easily (e.g the impact of forex exchange on the bottom line of the system).
One thing I did was reduce the number of trades where possible. This can be done using a higher stretch and/or regime filter. The CAGR reduces about 5-8% but the maxDD reduces a lot more (-35% max DD to 16% max DD). The worst drawdown is March 2020, the rest of the backtest the maxDD was around 15- 18%.
Positives of Canada
[list]
[*]Diversification of universe
[*]Stocks (so far) have higher % moves than ASX stocks for the ASX weekly swing
[*]Back tests show a higher return than the ASX Swing strategy
[*]Being weekly the system is fairly easy to implement
[/list]
Negatives
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[*]Higher cost of brokerage
[*]Haven’t figured out a viable way to hedge forex exposure (at this stage hoping the exposure will even out over time)
[*]Potential for stocks to swing against you – in the back test the worst trade lost 60% in a week, it is quite common for stocks to drop 20%+, so need psychological fortitude to handle it
[*]At least 80% of my trades so far have been mining/oil/gas/exploration, so there is very little industry diversification
[*]Need to log in Saturday morning local time in case some TSX stocks were bought on Friday morning before 11am TSX time
[*]Unsure if backtests can be replicated in real life due to potential issues with data – must exclude CSE listed stocks – which you can test on, however my understanding is norgate didn’t think historical data on the exchange for each stock was accurate … hence why I am treading carefully
[/list]
Exiting positionsSo far I have been using MOC orders to sell, placing them on Friday afternoon local time, and then checking the broker account Saturday morning in case orders were bought over night.
Stats since October 2022
KateMoloneyParticipantAlso, I asked IB about continuous futures contracts.
This was their response…
Initial Description: Continous futures contracts
Response from IBCS at 25-Jan-2023While it is possible to add the Continuous future to a watch-list and trade the Continuous future, please remember that when you trade the continuous future you are trading the Lead month, and this future contract will still expire. As such you will need to roll your future position to the next lead month if you wish to extend the length of the position.
Generally speaking the Continuous future contract is used to have a seamless historical chart of the future.
In order to check the margin requirements of the product you may simply follow the below steps:
1. Log in to TWS.
2. Add contract to watch-list
3. Right click on contract >Financial instrument info> Description.
4. Under Margin Information page you can see the margin requirements for the product.Also, there is a tool called “Preview Order / Check Margin” in TWS that offers the ability to review the projected cost, commission and margin impact of an order prior to its transmission.
Preview Order / Check Margin: https://ibkr.info/article/644
Regards,
Darren S.
IBKR Client Services
KateMoloneyParticipantThanks to Nick for taking the time to discuss futures.
I wrote up an SOP but can’t upload it here for some reason.
Main learnings were to buy futures on the quarterly contracts March, June, September or December … as they are the main contracts with most volume.
My understanding is Limit orders are best for contracts other than the spot month, even if it takes a day or so to fill. Otherwise market orders for futures contracts are ok due to the higher volume.
Instead of rolling over contracts, I will be diarizing the first week of the expiry month and then selling the future contract I hold and buying another one for the next quarter. Its essentially similar/same as rolling over the contract (to my understanding).
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